The disappearing size effect

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Is Size Dead? A Review of the Size Effect in Equity Returns (2011, unknown): “Horowitz, Loughran, and Savin (2000) find that large firms have slightly higher annual returns than small firms in a set of NYSE, AMEX, and Nasdaq data over the period 1979-1995.”
Three analyses of the firm size premium (2000, background): “Dimson and Marsh 1999 and Horowitz et al. 1999 suggest that this market anomaly may have disappeared, and, perhaps, that the size premium may have gone into reverse.”
Noisy Prices and Inference Regarding Returns (2013, unknown): “Horowitz, Loughran, and Savin (2000) document that the empirical relevance of firm size has diminished substantially in the years since papers describing the empirical size effect were first published.”
The Value of Quality (2007, unknown): “However, it is quite likely that once this pattern of abnormal returns has been validated and becomes public knowledge, investors’ actions may cause it to disappear, as was the case with many other findings (Horowitz et al. 2000).”